0.45
Impact Factor
0.34
5-Years IF
11
5-Years H index
CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated December, 3 2015 760.408 documents
processed, 20.499.313 references and 8.066.571 citations
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
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| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.09 | 0 | 0 | 0 | (%) | 0.03 | ||||||||||
| 1991 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1995 | 0.19 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1996 | 0.23 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.27 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.27 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.31 | 4 | 4 | 2 | 0.5 | 10 | 0 | 0 | 3 (30%) | 0.13 | ||||||
| 2000 | 0.25 | 0.39 | 0.25 | 12 | 16 | 1 | 0.06 | 49 | 4 | 1 | 4 | 1 | 6 (12.2%) | 0.15 | ||
| 2001 | 0.41 | 16 | 16 | 16 | (%) | 0.16 | ||||||||||
| 2002 | 0.43 | 6 | 22 | 2 | 0.09 | 16 | 12 | 16 | 2 (12.5%) | 0.19 | ||||||
| 2003 | 0.45 | 0.18 | 6 | 28 | 7 | 0.25 | 80 | 6 | 22 | 4 | 3 (3.8%) | 3 | 0.5 | 0.19 | ||
| 2004 | 0.67 | 0.51 | 0.39 | 7 | 35 | 13 | 0.37 | 53 | 12 | 8 | 28 | 11 | 5 (9.4%) | 2 | 0.29 | 0.21 |
| 2005 | 1.15 | 0.54 | 0.74 | 12 | 47 | 27 | 0.57 | 27 | 13 | 15 | 31 | 23 | (%) | 1 | 0.08 | 0.22 |
| 2006 | 0.16 | 0.52 | 0.35 | 9 | 56 | 19 | 0.34 | 16 | 19 | 3 | 31 | 11 | 2 (12.5%) | 0.21 | ||
| 2007 | 0.45 | 0.28 | 8 | 64 | 15 | 0.23 | 75 | 21 | 40 | 11 | 6 (8%) | 1 | 0.13 | 0.18 | ||
| 2008 | 0.18 | 0.48 | 0.36 | 9 | 73 | 19 | 0.26 | 6 | 17 | 3 | 42 | 15 | 1 (16.7%) | 0.2 | ||
| 2009 | 0.18 | 0.48 | 0.22 | 10 | 83 | 22 | 0.27 | 20 | 17 | 3 | 45 | 10 | (%) | 0.19 | ||
| 2010 | 0.16 | 0.44 | 0.17 | 12 | 95 | 25 | 0.26 | 27 | 19 | 3 | 48 | 8 | 4 (14.8%) | 0.16 | ||
| 2011 | 0.23 | 0.53 | 0.31 | 14 | 109 | 29 | 0.27 | 18 | 22 | 5 | 48 | 15 | 1 (5.6%) | 0.21 | ||
| 2012 | 0.42 | 0.58 | 0.53 | 10 | 119 | 41 | 0.34 | 7 | 26 | 11 | 53 | 28 | 2 (28.6%) | 0.22 | ||
| 2013 | 0.33 | 0.71 | 0.38 | 12 | 131 | 53 | 0.4 | 15 | 24 | 8 | 55 | 21 | (%) | 2 | 0.17 | 0.25 |
| 2014 | 0.45 | 0.81 | 0.34 | 12 | 143 | 65 | 0.45 | 22 | 10 | 58 | 20 | (%) | 0.28 |
| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y IF5: Impact Factor: C5Y / D5Y DOC: Number of documents published in year y CDO: Cumulative number of documents published until year y CCU: Cumulative number of citations to papers published until year y CIF: Cumulative impact factor CIT: Number of citations to papers published in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 D5Y: Number of articles published in y-1 until y-5 C5Y: Cites in y to articles published in y-1 until y-5 %SC: Percentage of selft citations in y to articles published in y-1 plus y-2 CiY: Cites in year y to documents published in year y II: Immediacy Index: CiY / Documents. AII: Average Immediacy Index for series in RePEc in year y |
|
50 most cited documents in this series:
[Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2007 | Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; Grasselli, Martino ; Fonseca, Jose. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180. Full description at Econpapers || Download paper | 31 |
| 2003 | The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). Villa, Christophe ; Hardle, Wolfgang . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202. Full description at Econpapers || Download paper | 27 |
| 2000 | Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andreasen, Jesper ; Andersen, Leif . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262. Full description at Econpapers || Download paper | 27 |
| 2003 | Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). Kwon, Oh. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:129-155. Full description at Econpapers || Download paper | 24 |
| 2007 | A new approach for option pricing under stochastic volatility. (2007). Sun, Jian ; Carr, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150. Full description at Econpapers || Download paper | 23 |
| 2004 | Assessing the Least Squares Monte-Carlo Approach to American Option Valuation. (2004). . In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168. Full description at Econpapers || Download paper | 22 |
| 2003 | On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives. (2003). . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128. Full description at Econpapers || Download paper | 18 |
| 2007 | Modelling jumps in electricity prices: theory and empirical evidence. (2007). Seifert, Jan ; Uhrig-Homburg, Marliese . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85. Full description at Econpapers || Download paper | 14 |
| 2005 | An empirical comparison of GARCH option pricing models. (2005). Hsieh, K. ; Ritchken, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150. Full description at Econpapers || Download paper | 13 |
| 2010 | Pricing swaps and options on quadratic variation under stochastic time change modelsâdiscrete observations case. (2010). Itkin, Andrey ; Carr, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176. Full description at Econpapers || Download paper | 13 |
| 2004 | On the Information in the Interest Rate Term Structure and Option Prices. (2004). de Jong, Frank ; Driessen, Joost . In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127. Full description at Econpapers || Download paper | 12 |
| 2004 | Theory of Storage and the Pricing of Commodity Claims. (2004). Schwartz, Eduardo S. ; Nielsen, Martin J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24. Full description at Econpapers || Download paper | 11 |
| 2000 | The Dynamics of the S&P 500 Implied Volatility Surface. (2000). Clewlow, Les ; Hodges, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:263-282. Full description at Econpapers || Download paper | 11 |
| 2011 | Corporate governance and hedge fund activism. (2011). Boyson, Nicole ; Mooradian, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204. Full description at Econpapers || Download paper | 9 |
| 1999 | Stochastic duration and fast coupon bond option pricing in multi-factor models. (1999). . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:1999:i:2:p:157-181. Full description at Econpapers || Download paper | 8 |
| 2002 | Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Vetzal, K. ; Zvan, R. ; Forsyth, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314. Full description at Econpapers || Download paper | 8 |
| 2002 | Valuation of commodity derivatives in a new multi-factor model. (2002). Yan, Xuemin . In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271. Full description at Econpapers || Download paper | 8 |
| 2003 | Price Discovery, Causality and Forecasting in the Freight Futures Market. (2003). Nomikos, Nikos . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:203-230. Full description at Econpapers || Download paper | 7 |
| 2009 | Quadratic hedging in affine stochastic volatility models. (2009). Kallsen, Jan ; Vierthauer, Richard . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:3-27. Full description at Econpapers || Download paper | 6 |
| 2005 | The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets. (2005). Ronn, Ehud . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:177-198. Full description at Econpapers || Download paper | 6 |
| 2009 | Option market making under inventory risk. (2009). Salam, Mehmet ; Stoikov, Sasha . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79. Full description at Econpapers || Download paper | 5 |
| 2006 | Seasonal and stochastic effects in commodity forward curves. (2006). Geman, Helyette ; Borovkova, Svetlana . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186. Full description at Econpapers || Download paper | 5 |
| 2009 | Microstructural biases in empirical tests of option pricing models. (2009). Dennis, Patrick ; Mayhew, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:169-191. Full description at Econpapers || Download paper | 5 |
| 2004 | A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Cherian, Joseph A.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97. Full description at Econpapers || Download paper | 5 |
| 2010 | A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24. Full description at Econpapers || Download paper | 5 |
| 2007 | The valuation of a firmâs investment opportunities: a reduced form credit risk perspective. (2007). Purnanandam, A.. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:39-58. Full description at Econpapers || Download paper | 4 |
| 2007 | Discount curve construction with tension splines. (2007). Andersen, Leif . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267. Full description at Econpapers || Download paper | 4 |
| 2013 | New solvable stochastic volatility models for pricing volatility derivatives. (2013). Itkin, Andrey . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:111-134. Full description at Econpapers || Download paper | 4 |
| 2010 | Convenience yields. (2010). Jarrow, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:25-43. Full description at Econpapers || Download paper | 4 |
| 2008 | Distressed debt prices and recovery rate estimation. (2008). Lin, Haizhi ; Guo, Xin . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204. Full description at Econpapers || Download paper | 4 |
| 2000 | Dynamic Volatility Trading Strategies in the Currency Option Market. (2000). Guo, Dajiang . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:2:p:133-154. Full description at Econpapers || Download paper | 4 |
| The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). Menachof, David ; Visvikis, Ilias . In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2005:i:3:p:241-266. Full description at Econpapers || Download paper | 3 | |
| 2006 | Static versus dynamic hedges: an empirical comparison for barrier options. (2006). Engelmann, Bernd ; Schwendner, Peter ; Nalholm, Morten ; Fengler, Matthias . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264. Full description at Econpapers || Download paper | 3 |
| 2003 | Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks. (2003). Wong, Hoi ; Kwok, Yue . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:83-106. Full description at Econpapers || Download paper | 3 |
| 2013 | Parametric modeling of implied smile functions: a generalized SVI model. (2013). Zhao, BO ; Hodges, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77. Full description at Econpapers || Download paper | 3 |
| 2013 | Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (2013). SIRIOPOULOS, COSTAS. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:233-266. Full description at Econpapers || Download paper | 3 |
| 2006 | Calibration and hedging under jump diffusion. (2006). He, C. ; Li, Y. ; Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35. Full description at Econpapers || Download paper | 3 |
| 2000 | Tighter Option Bounds from Multiple Exercise Prices. (2000). Ryan, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:2:p:155-188. Full description at Econpapers || Download paper | 3 |
| 2011 | Foreign currency bubbles. (2011). Protter, Philip . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83. Full description at Econpapers || Download paper | 3 |
| 2011 | Modelling default contagion using multivariate phase-type distributions. (2011). Herbertsson, Alexander . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:1-36. Full description at Econpapers || Download paper | 2 |
| 2012 | Option pricing and hedging under a stochastic volatility Lévy process model. (2012). Fabozzi, Frank ; Lin, Zuodong ; Kim, Young ; Rachev, Svetlozar . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:81-97. Full description at Econpapers || Download paper | 2 |
| 2006 | Model misspecification analysis for bond options and Markovian hedging strategies. (2006). Talay, Denis ; GIBSON, Rajna ; Pistre, Nathalie ; Bossy, Mireille ; Lhabitant, Francois-Serge . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:109-135. Full description at Econpapers || Download paper | 2 |
| 2005 | Option Prices Under Generalized Pricing Kernels. (2005). During, Bertram ; Luders, Erik . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:2:p:97-123. Full description at Econpapers || Download paper | 2 |
| 2012 | Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Guillaume, Florence ; Schoutens, Wim . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79. Full description at Econpapers || Download paper | 2 |
| 2006 | Price discovery in the U.S. stock and stock options markets: A portfolio approach. (2006). Holowczak, Richard ; Simaan, Yusif . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:37-65. Full description at Econpapers || Download paper | 2 |
| 2000 | Interest rate option pricing with volatility humps. (2000). Chuang, Iyuan ; Ritchken, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:237-262. Full description at Econpapers || Download paper | 2 |
| 2010 | Pricing distressed CDOs with stochastic recovery. (2010). Zagst, Rudi ; STEPHAN HÖCHT, ; Hocht, Stephan . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:3:p:219-244. Full description at Econpapers || Download paper | 2 |
| 2012 | A call on art investments. (2012). Wiehenkamp, Christian . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:1-23. Full description at Econpapers || Download paper | 2 |
| 2013 | The αVG model for multivariate asset pricing: calibration and extension. (2013). Guillaume, Florence . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:25-52. Full description at Econpapers || Download paper | 2 |
| 2005 | A Continuous Time Model to Price Commodity-Based Swing Options. (2005). Dahlgren, M.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:27-47. Full description at Econpapers || Download paper | 2 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2007 | Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; Grasselli, Martino ; Fonseca, Jose. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180. Full description at Econpapers || Download paper | 16 |
| 2007 | A new approach for option pricing under stochastic volatility. (2007). Sun, Jian ; Carr, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150. Full description at Econpapers || Download paper | 13 |
| 2000 | Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andreasen, Jesper ; Andersen, Leif . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262. Full description at Econpapers || Download paper | 11 |
| 2011 | Corporate governance and hedge fund activism. (2011). Boyson, Nicole ; Mooradian, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204. Full description at Econpapers || Download paper | 8 |
| 2007 | Modelling jumps in electricity prices: theory and empirical evidence. (2007). Seifert, Jan ; Uhrig-Homburg, Marliese . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85. Full description at Econpapers || Download paper | 7 |
| 2004 | Assessing the Least Squares Monte-Carlo Approach to American Option Valuation. (2004). . In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168. Full description at Econpapers || Download paper | 7 |
| 2005 | An empirical comparison of GARCH option pricing models. (2005). Hsieh, K. ; Ritchken, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150. Full description at Econpapers || Download paper | 6 |
| 2010 | Pricing swaps and options on quadratic variation under stochastic time change modelsâdiscrete observations case. (2010). Itkin, Andrey ; Carr, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176. Full description at Econpapers || Download paper | 6 |
| 2003 | The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). Villa, Christophe ; Hardle, Wolfgang . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202. Full description at Econpapers || Download paper | 6 |
| 2004 | Theory of Storage and the Pricing of Commodity Claims. (2004). Schwartz, Eduardo S. ; Nielsen, Martin J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24. Full description at Econpapers || Download paper | 5 |
| 2009 | Quadratic hedging in affine stochastic volatility models. (2009). Kallsen, Jan ; Vierthauer, Richard . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:3-27. Full description at Econpapers || Download paper | 5 |
| 2006 | Seasonal and stochastic effects in commodity forward curves. (2006). Geman, Helyette ; Borovkova, Svetlana . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186. Full description at Econpapers || Download paper | 4 |
| 2013 | New solvable stochastic volatility models for pricing volatility derivatives. (2013). Itkin, Andrey . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:111-134. Full description at Econpapers || Download paper | 4 |
| 2003 | On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives. (2003). . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128. Full description at Econpapers || Download paper | 4 |
| 2013 | Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (2013). SIRIOPOULOS, COSTAS. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:233-266. Full description at Econpapers || Download paper | 3 |
| 2007 | Discount curve construction with tension splines. (2007). Andersen, Leif . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267. Full description at Econpapers || Download paper | 3 |
| 2013 | Parametric modeling of implied smile functions: a generalized SVI model. (2013). Zhao, BO ; Hodges, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77. Full description at Econpapers || Download paper | 3 |
| 2011 | Foreign currency bubbles. (2011). Protter, Philip . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83. Full description at Econpapers || Download paper | 3 |
| 2009 | Option market making under inventory risk. (2009). Salam, Mehmet ; Stoikov, Sasha . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79. Full description at Econpapers || Download paper | 3 |
| 2005 | The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets. (2005). Ronn, Ehud . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:177-198. Full description at Econpapers || Download paper | 3 |
| 2010 | A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24. Full description at Econpapers || Download paper | 3 |
| 2013 | The αVG model for multivariate asset pricing: calibration and extension. (2013). Guillaume, Florence . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:25-52. Full description at Econpapers || Download paper | 2 |
| 2002 | Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Vetzal, K. ; Zvan, R. ; Forsyth, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314. Full description at Econpapers || Download paper | 2 |
| 2012 | A call on art investments. (2012). Wiehenkamp, Christian . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:1-23. Full description at Econpapers || Download paper | 2 |
| 2002 | Valuation of commodity derivatives in a new multi-factor model. (2002). Yan, Xuemin . In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271. Full description at Econpapers || Download paper | 2 |
| 2012 | Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Guillaume, Florence ; Schoutens, Wim . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79. Full description at Econpapers || Download paper | 2 |
| 2006 | Price discovery in the U.S. stock and stock options markets: A portfolio approach. (2006). Holowczak, Richard ; Simaan, Yusif . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:37-65. Full description at Econpapers || Download paper | 2 |
| 2003 | Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). Kwon, Oh. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:129-155. Full description at Econpapers || Download paper | 2 |
| 2012 | Option pricing and hedging under a stochastic volatility Lévy process model. (2012). Fabozzi, Frank ; Lin, Zuodong ; Kim, Young ; Rachev, Svetlozar . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:81-97. Full description at Econpapers || Download paper | 2 |
| 2004 | A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Cherian, Joseph A.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97. Full description at Econpapers || Download paper | 2 |
| 2008 | Distressed debt prices and recovery rate estimation. (2008). Lin, Haizhi ; Guo, Xin . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204. Full description at Econpapers || Download paper | 2 |
| 2010 | Pricing distressed CDOs with stochastic recovery. (2010). Zagst, Rudi ; STEPHAN HÖCHT, ; Hocht, Stephan . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:3:p:219-244. Full description at Econpapers || Download paper | 2 |
| 2005 | A Continuous Time Model to Price Commodity-Based Swing Options. (2005). Dahlgren, M.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:27-47. Full description at Econpapers || Download paper | 2 |
| 2013 | Capital adequacy rules, catastrophic firm failure, and systemic risk. (2013). . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:219-231. Full description at Econpapers || Download paper | 2 |
| 2006 | Calibration and hedging under jump diffusion. (2006). He, C. ; Li, Y. ; Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35. Full description at Econpapers || Download paper | 2 |
| 2000 | Interest rate option pricing with volatility humps. (2000). Chuang, Iyuan ; Ritchken, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:237-262. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 10:
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| Year | Title | See |
|---|---|---|
| 2014 | To sigmoid-based functional description of the volatility smile. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1407.0256. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bank Leverage, Financial Fragility and Prudential Regulation. (2014). . In: GREDEG Working Papers. RePEc:gre:wpaper:2014-12. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Does the Great Recession imply the end of the Great Moderation? International evidence. (2014). Charles, Amelie . In: Working Papers. RePEc:hal:wpaper:hal-00952951. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Does the Great Recession imply the end of the Great Moderation? International evidence. (2014). . In: EconomiX Working Papers. RePEc:drm:wpaper:2014-21. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The $\alpha$-Hypergeometric Stochastic Volatility Model. (2014). Martini, Claude ; Jos'e Da Fonseca, . In: Papers. RePEc:arx:papers:1409.5142. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Efficient solution of structural default models with correlated jumps
and mutual obligations. (2014). Lipton, Alexander ; Itkin, Andrey . In: Papers. RePEc:arx:papers:1408.6513. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | An Application of Hedonic Regression to Evaluate Prices of Polish Paintings. (2014). Witkowska, Dorota . In: International Advances in Economic Research. RePEc:kap:iaecre:v:20:y:2014:i:3:p:281-293. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Is there a Bubble in the Art Market?. (2014). Martelin, Nicolas ; Lehnert, Thorsten ; Kraussl, Roman . In: LSF Research Working Paper Series. RePEc:crf:wpaper:14-07. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Fabozzi, Frank J. ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_944_14. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, Gonalo ; João Correia-da-Silva, ; João Correia-da-Silva, . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:125-159. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2013 | On the characteristic function for asymmetric Student t distributions. (2013). Afuecheta, Emmanuel ; Chan, Stephen ; Nadarajah, Saralees . In: Economics Letters. RePEc:eee:ecolet:v:121:y:2013:i:2:p:271-274. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Measuring capital adequacy supervisory stress tests in a Basel world. (2013). . In: FRB Atlanta Working Paper No.. RePEc:fip:fedawp:2013-15. Full description at Econpapers || Download paper | [Citation Analysis] |
10 most frequent citing series:
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Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.
Source data used to compute the impact factor of RePEc series.